Trend-Following Backtester · Guide · backtest 한국어
etf · US
Teucrium Sugar Fund ETV backtest
10 trend-following strategies were compared on the full daily history of Teucrium Sugar Fund ETV. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -14.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.3%, drawdown -81.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.8%, MDD -25.6%, Sharpe 0.63, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 1.4%, MDD -14.9%, exposure 8%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=140, threshold=0.14 |
5.8% | -25.6% | 0.63 | 0.23 | 2.3x | 26 | 18% |
| Donchian 채널 돌파 entryN=129, exitN=53 |
5.3% | -22.7% | 0.55 | 0.23 | 2.2x | 10 | 21% |
| SMA 크로스오버 fast=73, slow=184 |
3.1% | -41.7% | 0.30 | 0.08 | 1.6x | 17 | 36% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=3.2 |
2.5% | -21.3% | 0.27 | 0.12 | 1.4x | 40 | 21% |
| 볼린저 밴드 돌파 n=63, k=2.3 |
2.2% | -22.0% | 0.24 | 0.10 | 1.4x | 30 | 23% |
| ADX / DI 방향성 period=38, threshold=23 |
1.4% | -14.9% | 0.22 | 0.09 | 1.2x | 16 | 8% |
| EMA 크로스오버 fast=54, slow=173 |
1.8% | -39.9% | 0.21 | 0.05 | 1.3x | 14 | 31% |
| Supertrend period=9, mult=4 |
-2.4% | -55.8% | -0.05 | -0.04 | 0.7x | 83 | 48% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-6.5% | -73.7% | -0.31 | -0.09 | 0.4x | 234 | 47% |
| MACD fast=14, slow=23, signal=19 |
-9.8% | -80.6% | -0.53 | -0.12 | 0.2x | 224 | 48% |
| Buy and hold | -6.3% | -81.3% | -0.15 | -0.08 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 140-day return is greater than 14%
- Sell — Sell when the 140-day return drops to 14% or below